Matching Engine

📄 Matching Engine Challenge

In this challenge you are going to implement a matching engine that manages multiple central limit order books.

To fulfill the challenge you will have to implement the interface as described in main.hpp.

🏦 Background

A matching engine matches orders from market participants. These matches will result in trades.

A trade occurs when someone wants to buy at an equal or higher price than someone else wants to sell.

When someone wants to buy, a market participant sends a buy order for a given symbol (e.g. AAPL or TSLA).

A sent order contains:

an id
a side (buy/sell)
a limit price
a volume

The limit price indicates:

In case of a buy order → you are willing to buy at the given price or lower.

In case of a sell order → you are willing to sell at the given price or higher.

📘 Order Book

All orders are managed in a Central Limit Order Book (CLOB) which has 2 sides:

The buy side

The sell side

If a new order is received by the matching engine, it first checks whether it can match with orders already in the order book on the opposite side.

The order will be matched with the opposite side until either:

The volume of the new order is exhausted, OR
There are no orders on the opposite side with which the new order can match.

Priority rules:

Price priority: the "best" price matches first.

Time priority: if there are multiple orders at the same price, orders inserted earlier are matched first.

⚖️ Trades

In case a match occurs, a trade is generated.

This trade has two orders:

An aggressive order: the order that causes the trade through either an INSERT or an AMEND.

A passive order: the matching order on the opposite side.

Trade properties:

Volume = minimum of the active volumes of the matched orders.

Price = determined by the price of the passive order.

🔄 Operations

There are two operations that can be applied to an order once it is in the order book:

Pull: removes the order from the order book.

Amend: changes the price and/or volume of the order.

📑 Amend Rules

An AMEND causes the order to lose time priority in the order book, unless the only change to the order is that the volume is decreased.

✅ If only volume is decreased → the order retains time priority (keeps its spot).

❌ If price is changed or volume is increased → the order loses time priority (treated as a new order, goes to the back).

If the price of the order is amended, it needs to be re-evaluated for potential matches.

Solutions

交易系统中的专业术语:

在交易系统中： // filled = 已成交 // partially filled = 部分成交 // fully filled = 完全成交 // unfilled = 未成交

ask : 讨价 (卖) BUY

bid : 出价 (买) SELL

Order // 订单 OrderBook // 订单簿 Order ID // 订单ID Symbol // 交易品种/标的 Side // 买卖方向 Volume // 数量/成交量 Price // 价格 Timestamp // 时间戳

Price Level // 价格级别 Best Bid // 最优买价 Best Ask // 最优卖价 Ticks // 价格单位（最小价格变动） Price Priority // 价格优先

Time Priority // 时间优先 FIFO // 先进先出（First In, First Out） Timestamp // 时间戳

Trade // 交易/成交 Execute // 执行交易 Filled // 已成交 Fully Filled // 完全成交 Partially Filled // 部分成交 Aggressive // 主动方 Passive // 被动方

Match // 匹配 Matching Engine // 匹配引擎 Price-Time Priority // 价格时间优先

Insert // 下单 Pull // 撤单 Amend // 改单 Cancel // 取消


struct Order {
    int id;
    std::string symbol;
    Side side;
    int64_t price;   // ticks
    int volume;
    int timestamp;
};